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Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

  • Gabriel Pons

This paper proposes a method for testing seasonal unit roots that combines monthly and quarterly Hylleberg, Engle, Granger and Yoo (HEGY) tests. The new approach is more powerful than the method that does not use quarterly information, i.e. the monthly HEGY test. An empirical illustration of the proposed approach is given for monthly US Industrial Production. Copyright 2005 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2005.00463.x
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Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 27 (2006)
Issue (Month): 2 (03)
Pages: 191-209

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Handle: RePEc:bla:jtsera:v:27:y:2006:i:2:p:191-209
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  1. repec:cup:cbooks:9780521565882 is not listed on IDEAS
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  3. Haldrup, Niels Prof. & Montanes, Antonio & Sansó, Andreu, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series qt0gw7q9hk, Department of Economics, UC San Diego.
  4. Taylor, A M Robert, 2003. "Robust Stationarity Tests in Seasonal Time Series Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 156-63, January.
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  8. H. Niemi, 1984. "The invertibility of sampled and aggregated ARMA models," Metrika, Springer, vol. 31(1), pages 43-50, December.
  9. Paulo M. M. Rodrigues, 2002. "On LM type tests for seasonal unit roots in quarterly data," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 176-195, June.
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  14. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, June.
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  17. da Silva Lopes, Artur C. B., 2001. "The robustness of tests for seasonal differencing to structural breaks," Economics Letters, Elsevier, vol. 71(2), pages 173-179, May.
  18. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
  19. Rodrigues, P.M.M. & Franses, Ph.H.B.F., 2003. "A sequential approach to testing seasonal unit roots in high frequency data," Econometric Institute Research Papers EI 2003-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  20. Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February.
  21. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
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